Tutorials › Exam PA - Predictive Analytics › Deriving GLM Likelihood And Score Equations

Exam PA · GLM Families and Model Construction · Tutorial 312 of 966

Deriving GLM Likelihood And Score Equations

Learn to derive GLM score equations from the likelihood and interpret the conditions that maximum-likelihood estimates must satisfy.

Intermediate 12 min read

What You'll Learn

  • Write the independent-observation GLM log-likelihood using exponential-family notation
  • Apply the chain rule to derive the score for regression coefficients
  • Simplify the score for canonical links and identify the residual equations
  • Work through grouped-binomial, Poisson, and Gaussian likelihood examples
  • Distinguish a score-equation solution from a confirmed likelihood maximum
  • Recognize why grouped trial counts cannot be treated as equally weighted proportions

From an Exponential-Family Model to a GLM Likelihood

A GLM coefficient is chosen by fitting the model to the observed responses. The likelihood makes that fitting principle precise: it measures how plausible the observed data are under a proposed set of coefficients. Differentiating its logarithm gives the score equations, which describe the conditions that an interior maximum-likelihood estimate must satisfy.

This tutorial derives those equations from the exponential-family form and connects them to fitted means and residuals. The derivation assumes independent observations and a correctly specified response distribution. No interest-rate or mortality assumptions are involved; the examples specify their response distributions and parameters directly.

Definition: Suppose \(Y_1,\ldots,Y_n\) are independent responses in an exponential family with density or probability mass function \(f(y_i;\theta_i,\phi)=\exp\{[y_i\theta_i-b(\theta_i)]/a(\phi)+c(y_i,\phi)\}\). Here \(\theta_i\) is the canonical parameter, \(\phi\) is a dispersion parameter, and \(a\), \(b\), and \(c\) are known functions for the chosen family. A GLM specifies \(\eta_i=\mathbf{x}_i^\mathsf{T}\boldsymbol{\beta}\) and relates the mean \(\mu_i=E[Y_i]\) to the linear predictor through \(g(\mu_i)=\eta_i\). Unless stated otherwise, treat \(\phi\) as fixed when deriving the score for \(\boldsymbol{\beta}\).

The exponential-family representation gives \(E[Y_i]=b'(\theta_i)\) and \(\operatorname{Var}(Y_i)=a(\phi)b''(\theta_i)\). These identities connect the response distribution to the GLM mean and variance functions. The likelihood for independent observations is the product of their individual likelihoods; taking logarithms turns that product into a sum.

$$ L(\boldsymbol{\beta},\phi)=\prod_{i=1}^n f(y_i;\theta_i,\phi), \qquad \ell(\boldsymbol{\beta},\phi) =\sum_{i=1}^n\left\{ \frac{y_i\theta_i-b(\theta_i)}{a(\phi)} +c(y_i,\phi) \right\}. $$

The term \(c(y_i,\phi)\) does not depend on \(\boldsymbol{\beta}\) when \(\phi\) is fixed. It must be included in the likelihood itself, but it contributes zero to the coefficient score. The parameter \(\theta_i\) depends on \(\boldsymbol{\beta}\) through the mean and link, so differentiating requires the chain rule.

Deriving the Score for Regression Coefficients

Let \(\mathbf{x}_i\) be the column vector of predictor values for observation \(i\), including an intercept if the model has one. First differentiate the \(i\)th log-likelihood contribution with respect to \(\theta_i\). Then use the dependence of \(\theta_i\) on \(\eta_i\), and of \(\eta_i\) on \(\boldsymbol{\beta}\).

1
Differentiate with respect to the canonical parameter.
The derivative of \(y_i\theta_i-b(\theta_i)\) with respect to \(\theta_i\) is \(y_i-b'(\theta_i)=y_i-\mu_i\).
2
Differentiate the canonical parameter with respect to the predictor.
Since \(d\mu_i/d\theta_i=b''(\theta_i)=V(\mu_i)\) and \(d\mu_i/d\eta_i=1/g'(\mu_i)\), the chain rule gives \(d\theta_i/d\eta_i=1/[V(\mu_i)g'(\mu_i)]\).
3
Differentiate the predictor with respect to the coefficients.
For \(\eta_i=\mathbf{x}_i^\mathsf{T}\boldsymbol{\beta}\), \(d\eta_i/d\boldsymbol{\beta}=\mathbf{x}_i\).

Combining these derivatives gives the score vector. In the expression, \(V(\mu_i)=b''(\theta_i)\) is the variance function, with \(\operatorname{Var}(Y_i)=a(\phi)V(\mu_i)\). The link must be differentiable at the fitted mean, and the mean must lie in the range where the inverse link and the corresponding canonical parameter are defined.

$$ \mathbf{U}(\boldsymbol{\beta}) =\frac{\partial\ell}{\partial\boldsymbol{\beta}} =\sum_{i=1}^n \mathbf{x}_i\, \frac{y_i-\mu_i}{a(\phi)V(\mu_i)g'(\mu_i)}. $$
Key result: For a finite, interior maximum-likelihood estimate \(\widehat{\boldsymbol{\beta}}\), the score must be zero: \(\mathbf{U}(\widehat{\boldsymbol{\beta}})=\mathbf{0}\). This is a necessary condition, not by itself proof that a maximum exists or that a particular stationary point is a maximum. Boundary estimates, non-identifiable coefficients, or a likelihood with no finite maximum require separate attention.

For the canonical link, \(\theta_i=\eta_i\), so \(d\theta_i/d\eta_i=1\). The relationship above then implies \(V(\mu_i)g'(\mu_i)=1\). The score simplifies to a predictor-weighted sum of response residuals:

$$ \mathbf{U}(\boldsymbol{\beta}) =\frac{1}{a(\phi)} \sum_{i=1}^n\mathbf{x}_i(y_i-\mu_i), \qquad \mathbf{X}^\mathsf{T}(\mathbf{y}-\boldsymbol{\mu})=\mathbf{0} \quad\text{when }a(\phi)\text{ is fixed and positive}. $$

The equations say that the residuals are orthogonal to each predictor column in the design matrix. With an intercept, the residuals sum to zero. With an additional predictor, their predictor-weighted sum is also zero. This does not generally mean that every fitted mean equals its observed response; it means the residuals satisfy these aggregate conditions.

Worked Likelihoods and Score Equations

Worked Example: Grouped Binomial Data With an Intercept

A hypothetical portfolio is divided into two groups. In group A, 3 of 5 policies have the event of interest; in group B, 1 of 3 policies have it. Assume independent Bernoulli trials with a common event probability \(p\). Fit an intercept-only logistic GLM. No interest-rate or mortality assumptions enter this model; the response counts are binomial, with trial counts 5 and 3 and common probability \(p\).

Method. For a grouped binomial count \(Y_j\sim\operatorname{Binomial}(m_j,p)\), the likelihood contribution is proportional to \(p^{y_j}(1-p)^{m_j-y_j}\). The common intercept \(\beta_0\) has \(p=\exp(\beta_0)/[1+\exp(\beta_0)]\). The logistic link is canonical for the binomial family.

The total number of events is \(3+1=4\), and the total number of trials is \(5+3=8\). Ignoring the binomial coefficients, which do not depend on \(p\), the log-likelihood is \(\ell(p)=4\log(p)+4\log(1-p)\). Since \(dp/d\beta_0=p(1-p)\), differentiation gives \(d\ell/d\beta_0=4(1-p)-4p=4-8p\).

Set the score to zero: \(4-8p=0\), so \(\widehat p=4/8=0.5\). The intercept estimate is \(\widehat\beta_0=\log[\widehat p/(1-\widehat p)]=\log(1)=0\). At this estimate, the score is \(4-8(0.5)=0\), as required.

Check. The second derivative with respect to \(\beta_0\) is \(-8p(1-p)\), which is negative at \(p=0.5\). Thus the log-likelihood is locally concave there, consistent with a maximum. The common mistake is to average the two group proportions equally: \((3/5+1/3)/2\approx0.4667\). That incorrectly gives the groups equal weight despite their different trial counts. The correct pooled estimate is the total events divided by total trials, \(4/8=0.5\).

Worked Example: Two-Predictor Poisson GLM

For a hypothetical count study, observe independent counts \(1,3\) at \(x=0\), and \(2,6\) at \(x=1\). Assume \(Y_i\sim\operatorname{Poisson}(\mu_i)\), with log link \(\log(\mu_i)=\beta_0+\beta_1x_i\). The Poisson dispersion is fixed at 1, and the canonical parameter is \(\theta_i=\log(\mu_i)\).

For a Poisson response, \(b(\theta_i)=e^{\theta_i}\) and \(a(\phi)=1\). Therefore, the canonical-link score equations are \(\sum_i(y_i-\mu_i)=0\) and \(\sum_i x_i(y_i-\mu_i)=0\). The second equation contains only observations with \(x_i=1\), so it requires their fitted means to sum to their observed counts: \(2\mu_1=2+6=8\). Hence their common fitted mean is \(\mu_1=4\).

The first score equation requires the fitted means across all four observations to sum to \(1+3+2+6=12\). The two observations at \(x=1\) account for \(2(4)=8\), leaving 4 for the two observations at \(x=0\). Thus \(\mu_0=4/2=2\).

From \(\log(\mu_0)=\beta_0\), \(\widehat\beta_0=\log(2)\). From \(\log(\mu_1)=\beta_0+\beta_1=\log(4)\), \(\widehat\beta_1=\log(4)-\log(2)=\log(2)\). The fitted means are 2 at \(x=0\) and 4 at \(x=1\).

Check. The intercept score is \(1+3+2+6-[2+2+4+4]=12-12=0\). The slope score is \(2+6-[4+4]=0\). The common mistake is to set each individual residual to zero; with repeated observations at each predictor value, the score requires the group residual sums to be zero, not every residual separately.

Worked Example: Gaussian GLM With an Identity Link

A hypothetical response study records \((x,y)=(0,1),(1,2),(2,4)\). Assume independent \(Y_i\sim N(\mu_i,1)\), so the variance \(\sigma^2=1\) is known. Use the Gaussian identity-link model \(\mu_i=\beta_0+\beta_1x_i\). For this family the canonical parameter is \(\theta_i=\mu_i\), and the identity link is canonical.

With known variance, maximizing the Gaussian likelihood is equivalent to minimizing \(\sum_i(y_i-\mu_i)^2\). The canonical score equations are \(\sum_i(y_i-\mu_i)=0\) and \(\sum_i x_i(y_i-\mu_i)=0\). Write \(r_i=y_i-\beta_0-\beta_1x_i\) for each residual. The first equation gives \(7-3\beta_0-3\beta_1=0\); the second gives \(10-3\beta_0-5\beta_1=0\).

Subtract the first equation from the second: \(3-2\beta_1=0\), so \(\widehat\beta_1=3/2\). Substitute this into \(7-3\beta_0-3\beta_1=0\): \(7-3\beta_0-9/2=0\), so \(3\beta_0=5/2\) and \(\widehat\beta_0=5/6\).

The fitted means are \(5/6\), \(7/3\), and \(23/6\). The residuals are \(1/6\), \(-1/3\), and \(1/6\). Their sum is \(1/6-1/3+1/6=0\), and their predictor-weighted sum is \(0(1/6)+1(-1/3)+2(1/6)=0\).

Check. Both score equations are satisfied. The common mistake is to use only the intercept equation and conclude that the residuals sum to zero is enough to estimate both coefficients. The slope equation is also required. Here the residual sum of squares is \(1/36+1/9+1/36=1/6\); with the stated variance, the log-likelihood is \(-\frac{3}{2}\log(2\pi)-\frac{1}{12}\).

What the Score Equations Do—and Do Not—Establish

The derivation explains why GLM coefficient estimates are tied to residual patterns. For canonical links, every predictor column has zero inner product with the response residual vector at an interior solution. For noncanonical links, the residuals instead receive factors depending on the variance function and the derivative of the link. In either case, the score follows from the likelihood and the specified model; it is not a separate fitting rule that can be chosen independently.

Solving the score equations is often algebraically possible for simple intercept-only or saturated examples. In more general models, the equations are nonlinear in the coefficients and may not have a closed-form solution. A numerical method is then used to find a coefficient vector with score near zero. The score condition is a stopping or checking criterion, but it does not alone establish that the result is the global maximum. One must also consider whether a finite estimate exists and whether the likelihood has the appropriate curvature.

  • Keep the model assumptions visible. The product likelihood and sum log-likelihood rely on independent responses. Dependence changes the likelihood construction.
  • Separate the coefficient score from constants. Terms independent of the coefficients disappear when differentiating for \(\boldsymbol{\beta}\); terms depending on the coefficients do not.
  • Do not confuse residual balance with exact fit. Score equations constrain sums or weighted sums of residuals. They do not usually make each residual zero.
  • Use the correct likelihood for the response structure. Grouped binomial counts carry trial counts; treating group proportions as equally weighted can change the estimate.
  • Check whether the solution is interior. A zero score is a necessary condition for a finite interior maximum, not a guarantee of existence or global optimality.
Key takeaway: Start with the exponential-family log-likelihood, differentiate through the canonical parameter, mean, link, and linear predictor, and set the resulting score vector to zero for an interior maximum-likelihood estimate. For canonical links, this reduces to \(\mathbf{X}^\mathsf{T}(\mathbf{y}-\boldsymbol{\mu})=\mathbf{0}\) when dispersion is fixed and positive.

Check Your Understanding

For each problem, identify the response distribution and use its likelihood score to obtain the requested estimate or check.

  1. Six independent Bernoulli responses contain 3 successes. Fit an intercept-only logistic model. Find the fitted probability and intercept. (Answer: \(\widehat p=0.5\), \(\widehat\beta_0=0\).)
  2. Four independent Poisson counts are \(0,2,4,2\). Fit an intercept-only log-link model. Write the score equation and find the fitted mean and intercept. (Answer: \(8-4\mu=0\), \(\widehat\mu=2\), \(\widehat\beta_0=\log 2\).)
  3. Two independent binomial groups have \(y_1=6\) successes out of \(m_1=8\) trials and \(y_2=3\) out of \(m_2=4\) trials. Under a common-probability intercept-only logistic model, find the score equation and fitted probability. (Answer: \(9-12p=0\), \(\widehat p=0.75\).)
  4. Assume independent \(Y_i\sim N(\mu_i,4)\) with known variance 4 and identity link \(\mu_i=\beta_0+\beta_1x_i\). For \((x,y)=(0,2),(1,3),(2,5)\), find the coefficient estimates and verify both residual score equations. (Answer: \(\widehat\beta_0=11/6\), \(\widehat\beta_1=3/2\); residuals \(1/6,-1/3,1/6\) have sum zero and predictor-weighted sum zero.)
Clinical Biostats